Numerical Approximations for Stochastic Differential Games: The Ergodic Case

DOI10.1137/S0036301290140034zbMath1151.91352MaRDI QIDQ4652503

Harold J. Kushner

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036301290140034

zbMATH Keywords

numerical methods; stochastic differential games; Markov chain approximations

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

65C40: Numerical analysis or methods applied to Markov chains

91A15: Stochastic games, stochastic differential games

65C30: Numerical solutions to stochastic differential and integral equations

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